Apparently you have IE7, and this is a problem in Explorer 7. You will probably have to make a change in the registry, which is something I rarely advise a person to do. But, this came from one of my computer-tech groups, so you are free to try it. Click on Start, type "regedit" without the quotes, select HKEY_CURRENT USER and go from there.
Set [HKEY_CURRENT_USER/Software/Microsoft/In... Explorer/TabbedBrowsing/ShowTabsWelcome] to 1.
Set [HKEY_CURRENT_USER/Software/Microsoft/In... Explorer/TabbedBrowsing/ShowTabsWelcome] to 1.